Tao Pang, NC State, Some Topics on Financial Mathematics
SAS 1102Several topics will be presented in this talk. In the first part, we consider some portfolio optimization problems with stochastic dividends, stochastic volatility or delays. The Hamilton-Jacobi-Bellman (HJB) equations are derived, which are second order nonlinear PDEs. We then establish the existence results of the HJB equations and prove the verification theorems. In the second…